Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 2 2
Score -1.52 -3.33 -3.76
Market Cap (Millions USD) 1101.19 1229.33 1067.71
Predicted Beta 0.31 0.3 0.31
Idiosyncratic Volatility 1.05 0.98 1.35

Annualized return and volatility

EWQ
Annualized Return 0.0361
Annualized Std Dev 0.2519
Annualized Sharpe (Rf=0%) 0.1435

Row

Daily Return Statistics

EWQ
Observations 5112.0000
NAs 2.0000
Minimum -0.1134
Quartile 1 -0.0069
Median 0.0004
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0081
Maximum 0.1308
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0159
Skewness -0.0515
Kurtosis 6.8630

Downside Risk

EWQ
Semi Deviation 0.0114
Gain Deviation 0.0113
Loss Deviation 0.0121
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.6141
Historical VaR (95%) -0.0248
Historical ES (95%) -0.0379
Modified VaR (95%) -0.0239
Modified ES (95%) -0.0376
From Trough To Depth Length To Trough Recovery
2007-07-13 2009-03-09 2017-06-02 -0.6141 2534 427 2107
2000-06-15 2003-03-12 2005-03-04 -0.5283 1207 700 507
2018-01-29 2018-12-24 2019-12-13 -0.2230 482 233 249
2000-03-06 2000-05-22 2000-06-02 -0.1298 64 56 8
2006-05-10 2006-06-13 2006-09-28 -0.1277 100 24 76

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWQ
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 2.2 0.7 0.0 0.7 2.2 0.0 -0.9 4.0 0.0 0.3 0.8 0.0 10.4
2001 -1.6 -0.2 0.0 1.1 -0.2 0.0 1.9 0.0 0.1 1.7 0.0 0.0 2.8
2002 -0.2 0.4 1.2 -1.6 0.0 -1.0 -3.8 0.0 3.8 1.0 0.0 0.0 -0.6
2003 0.0 0.0 1.4 -0.9 0.0 -1.2 -1.8 0.0 2.4 0.0 1.3 0.0 1.2
2004 0.0 0.7 1.5 0.0 -0.1 -1.4 0.0 0.5 2.5 0.0 1.4 0.0 5.1
2005 0.4 -0.2 0.1 0.0 -0.4 -0.7 1.0 1.8 0.0 0.2 1.5 0.0 3.7
2006 0.1 1.2 0.0 -0.8 0.9 0.0 -0.6 0.3 0.0 0.0 -1.2 0.0 -0.2
2007 0.6 -1.6 0.0 -0.3 0.6 0.0 0.1 0.0 1.6 -2.6 0.0 0.0 -1.5
2008 1.8 0.0 3.2 0.9 0.0 -0.7 -1.5 0.0 -0.4 0.0 -8.1 0.0 -5.1
2009 0.0 0.0 1.7 2.3 1.9 2.2 0.0 -3.1 -3.7 0.0 2.3 0.0 3.4
2010 2.2 0.6 2.0 0.0 -1.7 1.8 0.0 4.7 0.7 -0.7 3.2 0.0 13.5
2011 2.7 -1.6 1.2 0.0 -2.7 0.9 -2.0 -1.5 0.0 -5.7 -0.9 0.0 -9.4
2012 1.9 1.3 0.0 0.8 -2.7 0.0 0.3 0.0 1.7 1.3 0.0 0.0 4.5
2013 2.2 -0.4 -0.6 -1.1 0.0 1.1 1.2 0.0 1.2 -0.8 0.0 0.0 2.9
2014 0.0 0.0 1.0 0.2 0.0 0.5 -0.5 0.0 -1.2 0.0 0.1 0.0 0.2
2015 0.0 0.0 1.1 1.3 -0.3 0.7 0.0 -2.4 0.0 0.0 0.4 0.0 0.7
2016 0.0 2.6 -0.9 0.0 0.0 0.1 -1.0 1.0 0.0 -0.4 0.0 0.0 1.2
2017 0.2 1.3 0.0 0.4 0.9 0.0 0.4 0.3 0.0 -0.1 -0.6 0.0 2.9
2018 0.5 -0.7 0.0 -0.3 0.8 0.0 -0.5 0.0 -0.1 1.2 0.0 0.0 0.8
2019 0.4 0.8 1.2 -0.6 0.0 0.1 -0.5 0.0 -1.2 0.6 0.0 -0.2 0.4

Row

Rolling Performance Chart

Snail Trail Chart